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Robust estimation and forecasting of the capital asset pricing model
Bian, Guorui; McAleer, Michael; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10009724796
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Robust Estimation and Forecasting of the Capital Asset Pricing Model
Bian, Guorui - 2010
In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for...
Persistent link: https://www.econbiz.de/10013139406
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Structure and asymptotic theory for multivariate asymmetric conditional volatility
McAleer, Michael; Hoti, Suhejla; Chan, Felix - In: Econometric reviews 28 (2009) 5, pp. 422-440
Persistent link: https://www.econbiz.de/10003873066
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The Journal of Risk and Financial Management in open access
McAleer, Michael - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 1-3
Persistent link: https://www.econbiz.de/10011553413
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Realized volatility : a review
McAleer, Michael; Medeiros, Marcelo C. - In: Econometric reviews 27 (2008) 1/3, pp. 10-45
Persistent link: https://www.econbiz.de/10003761211
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Realized volatility : a review
McAleer, Michael (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003390391
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Special issue: Recent developments in financial time series econometrics
McAleer, Michael (contributor); Oxley, Les (contributor) - 2002
Persistent link: https://www.econbiz.de/10001686254
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Contributions to financial econometrics : theoretical and practical issues
McAleer, Michael (contributor); Oxley, Les (contributor) - 2002
Persistent link: https://www.econbiz.de/10001713035
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The econometrics of financial time series
McAleer, Michael; Oxley, Les - In: Contributions to financial econometrics : theoretical …, (pp. 1-7). 2003
Persistent link: https://www.econbiz.de/10001932648
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Robust Estimation and Forecasting of the Capital Asset Pricing Model
Bian, Guorui; McAleer, Michael; Wong, Wing-Keung - 2013
In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for...
Persistent link: https://www.econbiz.de/10010326459